Using the correlations for the corporate bonds shown in Exhibit 21-3, calculate the duration multiplier for the three credit ratings shown in the exhibit.

Exhibit 21-3 Industry Portfolio Spread Correlations with Treasury Curve Shifts (June 2013)
	AAA/AA	A	BBB
FINANCIALS
Banking and Brokerage	−32%	−33%	−31%
Financial Companies, Insurance and REITS	−26%	−33%	−38%
INDUSTRIALS
Basic Industries and Capital Goods	−32%	−35%	−35%
Consumer Cyclicals	−38%	−34%	−30%
Consumer Non-Cyclicals	−35%	−32%	−30%
Communication and Technology	−31%	−34%	−36%
Energy and Transportation	−37%	−37%	−38%
UTILITIES	−24%	−35%	−34%
NON-CORPORATE	−32%	−34%	−36%

Source: Reproduced from Figure 3 in Antonio B. Silva, “Insights from Point(R) Global Risk Model: Credit in a TurningRates Environment,” Barclays Index, Portfolio and Risk Solutions Research/Portfolio Modeling, November21, 2013.The results also appear in Arthur Berd, Elena Ranguelova, and Antonio B. Silva, “Credit Portfolio Managementin aTurning Rates Environment,” Journal of Investment Strategies, 3, 1 (December 2013). Courtesy of Barclay’s Capital.